I totally support adding alerts for the areas of the site that don't currently have them--ie. selling a pet in your rancher shop, winning an auction, etc. I'm not in the habit of checking, for example, my rancher shop till, so I don't find out till long after I've sold a pet that I have, in fact, sold one. Having alerts for that would make life much easier.
As far as toggling, I do agree that there should be a way to stop the alerts bar from coming up for the egg market, rancher shop, merchant shop, etc., but also understand that could cause confusion regarding the origin of the tu. Maybe it could be made so that if a user turns off those alerts, the alert bar doesn't come up for those types of unread alerts, but they're displayed in the alerts page as activity, or something like that?